October 2022 - Monthly Aggregate Data
Event Type:
Product Showcase
Start:
December 12, 2022
End:
December 1, 2023
Event Location:
Main Office
101 Federal Street Suite 1010
Boston,
Massachusetts
02110
This event is currently full.
October 2022 Monthly Aggregate Trading Data
Segment Concentration as a Percentage of ADV
| Segment Breakdown | |
|---|---|
| B/D | 57.70% |
| EMM | 23.76% |
| Agency Algo/SOR | 15.08% |
| LT-PROP | 2.89% |
| S/Access | 0.26% |
| ECN/EXCH | 0.22% |
| HT: Agency | 0.08% |
| HT-Prop | 0.00% |
Spread Execution Metrics
| At Bid/Ask | 43.18% |
| Inside NBBO excluding Midpoint | 12.52% |
| At Midpoint* | 44.32% |
Average Executed Notional Block Data
| >$200K | 5.25% |
| $100K - $200K | 3.36% |
Platform Latency
| p-Value | Microseconds |
|---|---|
| p0 | 16 |
| p25 | 22 |
| p50 | 24 |
| p75 | 66 |
| p90 | 279 |
| p95 | 444 |
| p99 | 1,091 |
Conditional Order Statistics
- Median response time 2.393 milliseconds
- Average firm-up rate (orders) 79.91%
- Conditional percentage of ADV 6.17%
VWAP Order Statistics
- VWAP Block ADV 5,075,622
- VWAP Block Unique Symbols Traded 3,250
- VWAP Slice ADV 15,242,539
- VWAP Slice Unique Symbols Traded 3,118
VWAP Executed Volume by Market Cap
| Large Cap | 58.71% |
| Mid Cap | 29.35% |
| Small Cap | 11.94% |
VWAP Executed Symbols by Market Cap
| Large Cap | 791 |
| Mid Cap | 1,157 |
| Small Cap | 1,568 |
VWAP Volume Breakdown
| Open to Counterparty | 0.04% |
| Open Only to Self-Match | 99.96% |
| Contra Matched | 0% |
| Self-Matched | 100% |
Odd Lot Statistics
- Odd Lot percentage of ADV 8.81%
LEVEL EXECUTIONS BY TRADE SIZE
| Trade Basket | Avg Trade Size | Volume |
| 1 - 499 | 84 | 63.46% |
| 500 - 999 | 636 | 11.12% |
| 1,000 - 1,999 | 1,261 | 9.51% |
| 2,000 - 4,999 | 2,871 | 8.44% |
| 5,000 - 9,999 | 6,379 | 3.42% |
| = 10,000 | 19,652 | 4.04% |
| Trade Basket | Avg Trade Size | Volume |
| All | 127 | 100.00% |
| = 500 | 1,273 | 36.54% |
| = 1,000 | 2,264 | 25.42% |
| = 2,000 | 4,320 | 15.91% |
| = 5,000 | 10,057 | 7.47% |
| = 10,000 | 19,652 | 4.04% |
*VWAP Volume not included in Midpoint Volume Calculation
Figures may not total to 100% due to rounding
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